If your not using alpha transparency for the windows you don't need an alpha channel, if the alpha isn't right then your going to get transparency where you don't want it. I would suggest saving without alpha so your sure the texture is right, looking at your screens above it is definitely the png texture causing issues and might export to dds with an unwanted alpha.
After saving as dds, particularly from png, close the image out and reopen it to see if an alpha channel is present.
